Palgrave Handbook of Econometrics: Applied Econometrics

52 Methodology of Empirical Econometric Modeling 1920 1940 1960 1980 2000 –0.02 0.00 0.02 ef,1 – ef,1 ef,1 – ef,1 1920 1940 1960 ...

David F. Hendry 53 1940 1960 1980 2000 –0.10 –0.05 0.00 0.05 0.10 Δ^ef Δef 1940 1960 1980 2000 –2 –1 0 1 residuals forecast erro ...

54 Methodology of Empirical Econometric Modeling 1940 1960 1980 2000 –0.10 –0.05 0.00 0.05 0.10 Δ^ef Δef 1940 1960 1980 2000 –1 ...

David F. Hendry 55 + 0.129 (0.038) I 1827 − 0.206 (0.039) I 1921 + 0.119 (0.037) I 1927 ̂σ=0.0368 FAR1− 2 (2, 220)=1.08FARCH 1 ( ...

56 Methodology of Empirical Econometric Modeling ̂σ=0.10FAR1− 2 (2, 220)=2.59FARCH 1 (1, 220)=0.01 χnd^2 ( 2 )=3.72FHet(17, 204) ...

David F. Hendry 57 that embed the available economic theory as a special case, consistent with our knowledge of the institutiona ...

58 Methodology of Empirical Econometric Modeling References Aghion, P., R. Frydman, J. Stiglitz and M. Woodford (eds.) (2002)Kno ...

David F. Hendry 59 Castle, J.L. (2005) Evaluating PcGets and RETINA as automatic model selection algorithms. Oxford Bulletin of ...

60 Methodology of Empirical Econometric Modeling Doornik, J.A. (2007b) Econometric modelling when there are more variables than ...

David F. Hendry 61 and M.S. Morgan (eds.),The Foundations of Econometric Analysis. Cambridge: Cambridge University Press, 1995. ...

62 Methodology of Empirical Econometric Modeling Hendry, D.F. (1994) HUS revisited.Oxford Review of Economic Policy 10 , 86–106. ...

David F. Hendry 63 Hendry, D.F. and G.E. Mizon (1999) The pervasiveness of Granger causality in econometrics. In R.F. Engle and ...

64 Methodology of Empirical Econometric Modeling Judge, G.G. and M.E. Bock (1978)The Statistical Implications of Pre-Test and St ...

David F. Hendry 65 Mizon, G.E. (1984) The encompassing approach in econometrics. In D.F. Hendry and K.F. Wallis (eds.),Econometr ...

66 Methodology of Empirical Econometric Modeling Sala-i-Martin, X.X. (1997) I have just run two million regressions.American Eco ...

David F. Hendry 67 Tibshirani, R. (1996) Regression shrinkage and selection via the lasso.Journal of the Royal Statistical Socie ...

2 How much Structure in Empirical Models? Fabio Canova Abstract This chapter highlights the problems that structural methods and ...

Fabio Canova 69 technological disturbance; and our understanding of the propagation mechanism of structural shocks has been cons ...

70 How much Structure in Empirical Models? inference is valid only to the extent that the model correctly represents the DGP of ...

Fabio Canova 71 don’ts” which applied investigators may want to keep in mind in their work and outline a methodology, combining ...